Essays about: "Gatheral model"

Found 1 essay containing the words Gatheral model.

  1. 1. A second order Runge–Kutta method for the Gatheral model

    University essay from Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

    Author : Jérémy Auffredic; [2020]
    Keywords : Stochastic differential equation; Runge–Kutta method; Gatheral model; Monte-Carlo simulation; weak second order.;

    Abstract : In this thesis, our research focus on a weak second order stochastic Runge–Kutta method applied to a system of stochastic differential equations known as the Gatheral Model. We approximate numerical solutions to this system and investigate the rate of convergence of our method. READ MORE